quantitative analysis

Mid-week market update: Rather than the usual mid-week market technical comment, I thought that I would present updates on a number of trades that I had suggested in the past: How to play the Brexit referendum (published February 29, 2016): Setting up for a trade? A possible generational low in oil and energy stocks (published January 20, 2016):...

Some minor buzz has arisen among finance academics and professionals as a result of a paper by Ronald Kahn and Michael Lemmon, both of whom are employed by Blackrock, entitled The Asset Manager’s Dilemma: How Smart Beta Is Disrupting the Investment Management Industry. Here is the abstract: Smart beta products are a disruptive financial innovation...

I've been giving much thought about the investment philosophy behind the post over at Philosophical Economics about the GTT market timing model. To understand what`s behind his investment philosophy, let`s start back with first principles of equity investing. The equity claim represent the "stub" claim behind debt, or bond financing in a company and therefore...

Dana Lyons recently wrote a terrific piece about the level of complacency in the current bout of stock market weakness. The SPX had fallen over 9% in two weeks, but the VIX Index was barely challenging its December highs and it was nowhere near the highs set during the August/September selloff. He found that past...

The blogger Jesse Livermore at Philosophical Economics recently wrote another brilliant post about the use of trend following models and market timing. He found that trend following models work very well on diversified stock indices, but didn't really understand the mechanism of how they worked. As I pride myself on being a left and right...

As 2015 draws to a close, this would be a good time to review how I did during the year. As regular readers know, I have two personas, my inner investor and my inner trader. My inner investor had a decent year, while my inner trader had a year that he would rather forget. ...

This is another in a series of occasional posts on quantitative analysis. I am indebted to Josh Brown for pointing me to an article by Larry Swedroe, which discusses a study on demographics and real interest rates. While I found that I can derive significant insights from single variable studies like these, the world is...

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